Data Mining Corrections Testing in Chinese Stocks
Abstract
In this analysis of the risk and return of stocks in global and Chinese markets, we build a reasonably large number of models for stock selection and create optimized portfolios to outperform a global benchmark. We apply robust regression techniques in producing stock-selection models and Markowitz-based optimization techniques in portfolio construction in a global stock universe and two Chinese stock universes. We report the results of applying...
Paper Details
Title
Data Mining Corrections Testing in Chinese Stocks
Published Date
Apr 1, 2018
Journal
Volume
48
Issue
2
Pages
108 - 120
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